Why doesn't Volumetric follow the shape of Mesh in Eevee?
Eevee's support for volumetrics is quite limited.

From the blender manual:


  Eevee’s goal is to be an interactive render engine. Some features may not be there yet or may be impossible to implement into Eevee’s architecture without compromising performance.


Read: Eevee Render Limitations


  Volumes Objects
  
  Object volume shaders will affect the whole bounding box of the object. The shape of the volume must be adjusted using procedural texturing inside the shader.


What that means is that the volumetric shader will always be a cube or a cuboid.

As far as I know it is meant more for haze and atmospheric effects, so volume would be used on volumetric domains, not so much in detailed meshes made of smoke or dust.

Maybe someone that actually cares for Eevee can clarify.